Advances in the price-volume researchImplementation of the toda-yamamoto procedure in the financial markets of Spain and United States

  1. Pedro Antonio Martín Cervantes 1
  2. Salvador Cruz Rambaud 1
  1. 1 Universidad de Almería
    info

    Universidad de Almería

    Almería, España

    ROR https://ror.org/003d3xx08

Revista:
Estudios de economía aplicada

ISSN: 1133-3197,  1697-5731

Ano de publicación: 2020

Título do exemplar: Challenges in the construction of composite indicators

Volume: 38

Número: 1

Tipo: Artigo

DOI: 10.25115/EAE.V38I1.2854 DIALNET GOOGLE SCHOLAR lock_openAcceso aberto editor

Outras publicacións en: Estudios de economía aplicada

Obxectivos de Desenvolvemento Sustentable

Resumo

The analysis of the price-volume relationship has found in the causality of Granger a fundamental empirical framework to obtain the main characteristics of such relationship. However, spurious conclusions have also proliferated when the stationarity of the time series analyzed by this specific methodology has not always been taken into account. In this context, Toda and Yamamoto (1995) developed an extension of Granger's original model, which avoids the problem of obtaining spurious causal conclusions when using stationary time series, arbitrarily integrated or cointegrated. Thus, this procedure has become an essential tool in the study of the price-volume relationship, although its level of implementation in this field and, in general, in the scientific literature is relatively reduced compared to the “traditional” methodology. Therefore, this work is based on the approach by Toda and Yamamoto and proposes, prima facie, two financial markets in which, to the extent of our knowledge, it has not yet been implemented: the financial markets of Spain and United States, through a brief causal analysis of the IBEX 35 and DJIA indexes.

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Información de financiamento

This paper has been partially supported by the project “La sostenibilidad del sistema nacional de salud: reformas, estrategias y propuestas”, reference: DER2016-76053-R, Ministerio de Economía y Competitividad (Spain).

Financiadores

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Fonte de datos: Dialnet